Opalesque Industry Update, for New Managers - Quantitative hedge fund manager 80 Capital LLP, run by former Deutsche Bank quantitative executive Philippe Azoulay, has opened its Helium strategy to external investors following a successful 23-month trading run and the acquisition of substantial seed capital.|
The Helium strategy takes a unique approach to trading global managed futures. Developed by Azoulay within Deutsche Bank, it is being spun out as the first external investment of newly established 80 Capital LLP, which has received $50 million in seed capital investment from the bank.
“Receiving this level of institutional backing is unprecedented. It demonstrates the power of the Helium strategy,” said Azoulay.
Helium outperformed most of its managed futures peers in the 23 months from February 2012 with an average annualised outperformance of approximately 10% against major managed futures indices in a generally challenging period for managed futures. It had more positive months than its benchmark indices (64%) and a positive Sharpe ratio.
The strategy’s cumulative performance was 10.87%, its annualised performance 5.71%.
“By using a variety of techniques to catch statistical phenomenon on a medium- to long-term horizon and under a strict risk control structure, Helium is able to offer real alpha-generating power,” explained Azoulay.
Helium divides the trading universe into clusters of futures contracts, from which combinations of contracts are filtered and then systematically analysed to find trading signals. It thus generates alpha from correlation deformation as well as from price movement. The majority of quantitative funds build positions incrementally based on a signal strength type of criteria, such as the number of standard deviations above a threshold. However, this approach can lead to overweight positions with no statistical robustness that can quickly lose value. Helium, by contrast, uses cutting edge techniques that aim to eliminate the threat of exposure to a sudden fall.
“It’s about estimating how wrong we can be and then confronting that probability. That gives us a performance edge over the medium and long term,” Azoulay added.
80 Capital LLP is headquartered in London and authorised by the Financial Conduct Authority (FCA).